By Devika Patel
Knoxville, Tenn., April 13 – JPMorgan Chase Financial Co. LLC priced $5 million of 0% dual directional trigger Performance Leveraged Upside Securities due April 17, 2020 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.
JPMorgan Chase & Co. is the guarantor.
The basket consists of the S&P 500 index, with a 60% weight, the Euro Stoxx 50 index, with a 30% weight, and the MSCI Emerging Markets index, with a 10% weight.
If the basket finishes at or above its initial level, the payout at maturity will be par of $10 plus 1.5 times the basket return, up to a maximum payout of $11.86 per $10.00 of notes.
If the basket falls up to the 75% trigger level, the payout will be par plus the absolute value of the basket return.
Otherwise, investors will 1% for each 1% decline of the basket from its initial level.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Dual directional Trigger Performance Leveraged Upside Securities
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| Underlying indexes: | S&P 500 (60% weight), Euro Stoxx 50 (30% weight), MSCI Emerging Markets (10% weight)
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| Amount: | $5 million
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| Maturity: | April 17, 2020
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket gains, par plus 150% of return, capped at $11.86 per $10.00 of notes; if basket falls by up to trigger level, par plus absolute value of basket return; otherwise, 1% loss for each 1% decline of the basket from initial level
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| Initial levels: | 2,353.78 for S&P, 3,470.04 for Euro Stoxx and 954.44 for MSCI EM
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| Trigger level: | 75% of initial basket level
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| Pricing date: | April 11
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| Settlement date: | April 18
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.5%
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| Cusip: | 48129F424
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